Keyword: investment

Found 1239 papers in total
A Unified Theory of Tobin's q, Corporate Investment, Financing, and Risk Management
A Unified Theory of Tobin's q, Corporate Investment, Financing, and Risk Management
2011,
We propose a model of dynamic investment, financing, and risk management for...
The Real and Financial Implications of Corporate Hedging
The Real and Financial Implications of Corporate Hedging
2011,
We study the implications of hedging for corporate financing and investment. We do so...
Stochastic Capacity Investment and Flexible vs. Dedicated Technology Choice in Imperfect Capital Markets
Stochastic Capacity Investment and Flexible vs. Dedicated Technology Choice in Imperfect Capital Markets
2011,
This paper analyzes the impact of endogenous credit terms under capital market...
Securitization and Real Investment in Incomplete Markets
Securitization and Real Investment in Incomplete Markets
2011,
We study the impact of financial innovations on real investment decisions within the...
Ambiguity in asset pricing and portfolio choice: a review of the literature
Ambiguity in asset pricing and portfolio choice: a review of the literature
2013,
We survey the literature that has explored the implications of decision‐making...
Excess invariance and shortfall risk measures
Excess invariance and shortfall risk measures
2013,
This paper introduces the axiom of excess invariance for risk measures, meaning...
Mean–CVaR portfolio selection: A nonparametric estimation framework
Mean–CVaR portfolio selection: A nonparametric estimation framework
2013,
In this paper, we use Conditional Value‐at‐Risk (CVaR) to measure risk...
Optimal execution with weighted impact functions: a quadratic programming approach
Optimal execution with weighted impact functions: a quadratic programming approach
2013,
In this paper, we develop optimal trading strategies for a risk averse investor by...
Algorithmic determination of the maximum possible earnings for investment strategies
Algorithmic determination of the maximum possible earnings for investment strategies
2013,
This paper proposes a new method for determining the upper bound of any investment...
A Stochastic Target Approach for P&L Matching Problems
A Stochastic Target Approach for P&L Matching Problems
2012,
Within a Brownian diffusion Markovian framework, we provide a direct PDE...
A brain information‐aided intelligent investment system
A brain information‐aided intelligent investment system
2012,
Recent advancements in neuroeconomics have revealed that specific sites of brain...
PROBE–A multicriteria decision support system for portfolio robustness evaluation
PROBE–A multicriteria decision support system for portfolio robustness evaluation
2012,
This paper addresses the problem of selecting a robust portfolio of projects in the...
A BSDE approach to risk‐based asset allocation of pension funds with regime switching
A BSDE approach to risk‐based asset allocation of pension funds with regime switching
2012,
An asset allocation problem of a member of a defined contribution (DC) pension fund is...
Game Analysis of Investment in a Group with Stickiness
Game Analysis of Investment in a Group with Stickiness
2012,
This paper studies the investment in a group with stickiness. A group investment game...
Optimally harnessing inter‐day and intra‐day information for daily value‐at‐risk prediction
Optimally harnessing inter‐day and intra‐day information for daily value‐at‐risk prediction
2013,
We make use of quantile regression theory to obtain a combination of individual...
On downside risk predictability through liquidity and trading activity: A dynamic quantile approach
On downside risk predictability through liquidity and trading activity: A dynamic quantile approach
2013,
Most downside risk models implicitly assume that returns are a sufficient statistic...
SMART: A Stochastic Multiscale Model for the Analysis of Energy Resources, Technology, and Policy
SMART: A Stochastic Multiscale Model for the Analysis of Energy Resources, Technology, and Policy
2012,
We address the problem of modeling energy resource allocation, including dispatch,...
A New Approach to Stochastic Optimization
A New Approach to Stochastic Optimization
2012,
We derive general explicit solutions to the investment model without reliance on the...
Stock index forecasting based on a hybrid model
Stock index forecasting based on a hybrid model
2012,
Forecasting the stock market price index is a challenging task. The exponential...
Optimal partial hedging of an American option: shifting the focus to the expiration date
Optimal partial hedging of an American option: shifting the focus to the expiration date
2012,
As a main contribution we present a new approach for studying the problem of optimal...
Portfolio selection of a closed‐end mutual fund
Portfolio selection of a closed‐end mutual fund
2012,
A well‐known regulation on the management of a closed‐end mutual fund is...
Optimal Asset Allocation: A Worst Scenario Expectation Approach
Optimal Asset Allocation: A Worst Scenario Expectation Approach
2012,
Mean‐variance criterion has long been the main stream approach in the optimal...
R&D, productivity, and market value: An empirical study from high‐technology firms
R&D, productivity, and market value: An empirical study from high‐technology firms
2013,
Although prior research has addressed the influence of production activity and...
Bilevel Biobjective Pseudo Boolean Programming Problems
Bilevel Biobjective Pseudo Boolean Programming Problems
2012,
In the present paper a kind of bilevel programming problem in 0–1 variables,...
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